Financial Econometrics Using Stata

1st Edition

Simona Boffelli, Giovanni Urga

Stata Press
Published November 1, 2016
Reference - 272 Pages
ISBN 9781597182140 - CAT# N11905

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Financial Econometrics Using Stata is an essential reference for graduate students, researchers, and practitioners who use Stata to perform intermediate or advanced methods. After discussing the characteristics of financial time series, the authors provide introductions to ARMA models, univariate GARCH models, multivariate GARCH models, and applications of these models to financial time series. The last two chapters cover risk management and contagion measures. After a rigorous but intuitive overview, the authors illustrate each method by interpreting easily replicable Stata examples.


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